How to make a sky environment map?
To add an image as your world background, you need to set that image as a texture input for the world object. To do this, add a texture to the world by selecting the world object in the Outliner, then selecting the 'Textures' tab of the Properties panel and adding a new texture. Go to the Preview submenu and select the world tab, so that you are editing the global texture. Finally, under the type of texture, select 'Image or Movie', and select the image you wish to use.

For a more detailed description of the subject, go to http://pages.uoregon.edu/art3d/composite/composite25.html.